Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set

We propose an exchange rate model that is a hybrid of the conventional specification with monetary fundamentals and the Evans–Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on interdealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or “hybrid,” model exhibits greater in-sample stability and out of sample forecasting improvement vis-à-vis the basic macroeconomic and random walk specifications.

Shape corrections to exchange-correlation potentials by gradient-regulated seamless connection of model potentials for inner and outer region

Shape corrections to the standard approximate Kohn-Sham exchange-correlation (xc) potentials are considered with the aim to improve the excitation energies (especially for higher excitations) calculated with time-dependent density functional perturbation theory. A scheme of gradient-regulated connection (GRAC) of inner to outer parts of a model potential is developed. Asymptotic corrections based either on the potential of Fermi and Amaldi or van Leeuwen and Baerends (LB) are seamlessly connected to the (shifted) xc potential of Becke and Perdew (BP) with the GRAC procedure, and are employed to calculate the vertical excitation energies of the prototype molecules N-2, CO, CH2O, C2H4, C5NH5, C6H6, Li-2, Na-2, K-2. The results are compared with those of the alternative interpolation scheme of Tozer and Handy as well as with the results of the potential obtained with the statistical averaging of (model) orbital potentials. Various asymptotically corrected potentials produce high quality excitation energies, which in quite a few cases approach the benchmark accuracy of 0.1 eV for the electronic spectra. Based on these results, the potential BP-GRAC-LB is proposed for molecular response calculations, which is a smooth potential and a genuine "local" density functional with an analytical representation. (C) 2001 American Institute of Physics.

Charge exchange emission from solar wind helium ions

Charge exchange X-ray and far-ultraviolet (FUV) aurorae can provide detailed insight into the interaction between solar system plasmas. Using the two complementary experimental techniques of photon emission spectroscopy and translation energy spectroscopy, we have studied state-selective charge exchange in collisions between fully ionized helium and target gasses characteristic of cometary and planetary atmospheres (H2O, CO2, CO, and CH4). The experiments were performed at velocities typical for the solar wind (200-1500 km s(-1)). Data sets are produced that can be used for modeling the interaction of solar wind alpha particles with cometary and planetary atmospheres. These data sets are used to demonstrate the diagnostic potential of helium line emission. Existing Extreme Ultraviolet Explorer (EUVE) observations of comets Hyakutake and Hale-Bopp are analyzed in terms of solar wind and coma characteristics. The case of Hale-Bopp illustrates well the dependence of the helium line emission to the collision velocity. For Hale-Bopp, our model requires low velocities in the interaction zone. We interpret this as the effect of severe post-bow shock cooling in this extraordinary large comet.

Charge exchange and dissociative processes in collisions of slow He2+ ions with H2O molecules

Experimental and theoretical studies of one-electron capture in collisions of He2+ ions with H2O molecules have been carried out in the range 0.025-12 keV amu(-1) corresponding to typical solar wind velocities of 70-1523 km s(-1). Translational energy spectroscopy (TES), photon emission spectroscopy (PES), and fragment ion spectroscopy were employed to identify and quantify the collision mechanisms involved. Cross sections for selective single electron capture into n=1, 2, and 3 states of the He+ ion were obtained using TES while PES provided cross sections for capture into the He+(2p) and He+(3p) states. Our model calculations show that He+(n=2) and He+(n=3) formation proceeds via a single-electron process governed by the nucleus-electron interaction. In contrast, the He+(1s) formation mechanism involves an exothermic two-electron process driven by the electron-electron interaction, where the potential energy released by the electron capture is used to remove a second electron thereby resulting in fragmentation of the H2O molecule. This process is found to become increasingly important as the collision energy decreases. The experimental cross sections are found to be in reasonable agreement with cross sections calculated using the Demkov and Landau-Zener models.

Experimental investigation of the processes determining x-ray emission intensities from charge-exchange collisions

Absolute cross sections have been measured for single and double charge exchange and x-ray line emission for highly charged ions of C, N, 0, and Ne colliding with He, H-2 CO2, and H2O at collisions energies of 7q keV. Present results of charge exchange in He and H-2 compare favorably with previous results. For CO2 and H2O, where prior work is scarce, the classical overbarrier model is found to overestimate results by up to a factor of 3. An analysis of the relative intensities of the observed Lyman x-ray transitions indicates that capture into l states is not statistical, as collision velocities are insufficient to populate the highest angular-momentum states. The importance of autoionization following multiple capture is highlighted, and enhanced radiative stabilization following double capture is observed and compared to other studies. Present results are also discussed in terms of mechanisms likely to generate x-ray emission in comets.

Absolute single and multiple charge exchange cross sections for highly charged C, O, and Ne ions on H2O, CO, and CO2

Reported herein are measured absolute single, double, and triple charge exchange (CE) cross sections for the highly charged ions (HCIs) Cq+ (q=5,6), Oq+ (q=6,7,8), and Neq+ (q=7,8) colliding with the molecular species H2O, CO, and CO2. Present data can be applied to interpreting observations of x-ray emissions from comets as they interact with the solar wind. As such, the ion impact energies of 7.0q keV (1.62–3.06 keV/amu) are representative of the fast solar wind, and data at 1.5q keV for O6+ (0.56 keV/amu) on CO and CO2 and 3.5q keV for O5+ (1.09 keV/amu) on CO provide checks of the energy dependence of the cross sections at intermediate and typical slow solar wind velocities. The HCIs are generated within a 14 GHz electron cyclotron resonance ion source. Absolute CE measurements are made using a retarding potential energy analyzer, with measurement of the target gas cell pressure and incident and final ion currents. Trends in the cross sections are discussed in light of the classical overbarrier model (OBM), extended OBM, and with recent results of the classical trajectory Monte Carlo theory.

International order flows: Explaining equity and exchange rate returns

Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure – order flow. The international order flows are derived from belief changes of different investor groups in a two-country setting. We obtain a structural relationship between equity returns, exchange rate returns and their relationship to home and foreign equity market order flow. To test the model we construct daily aggregate order flow data from 800 million equity trades in the U.S. and France from 1999 to 2003. Almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate returns and aggregate order flows in both markets. As predicted by the model, daily exchange rate returns and order flow into the French market have significant incremental explanatory power for the daily S&P returns. The model implications are also validated for intraday returns.

Volatile and persistent real exchange rates with or without sticky prices

The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Two methodologies are employed to explore this model's ability to generate volatile and persistent exchange rates. In the first, actual data is used for the exogenous driving processes. In the second, the model is simulated using estimated forcing processes. The theory, in both cases, is capable of explaining the high volatility and persistence of real and nominal exchange rates as well as the high correlation between real and nominal rates. © 2007 Elsevier B.V. All rights reserved.

Solving exchange rate puzzles with neither sticky prices nor trade costs

We present a simple framework in which both the exchange rate disconnect and forward bias puzzles are simultaneously resolved. The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Habitpersistence is modeled using Campbell Cochrane preferences with ‘deep’ habits along the lines of the work of Ravn, Schmitt-Grohe and Uribe. By deep habits, we mean habits defined over goods rather than countries. The model is simulated using the artificial economy methodology. It offers a neo-classical explanation of the Meese–Rogoff puzzle and mimics the failure of fundamentals to explain nominal exchange rates in a linear setting. Finally, the model naturally generates the negative slope in the standard forward market regression.

MEASUREMENT AND CALCULATION OF ABSOLUTE SINGLE AND MULTIPLE CHARGE EXCHANGE CROSS SECTIONS FOR Feq+ IONS IMPACTING H2O

Charge exchange (CE) plays a fundamental role in the collisions of solar- and stellar-wind ions with lunar and planetary exospheres, comets, and circumstellar clouds. Reported herein are absolute cross sections for single, double, triple, and quadruple CE of Feq+ (q = 5-13) ions with H2O at a collision energy of 7q keV. One measured value of the pentuple CE is also given for Fe9+ ions. An electron cyclotron resonance ion source is used to provide currents of the highly charged Fe ions. Absolute data are derived from knowledge of the target gas pressure, target path length, and incident and charge-exchanged ion currents. Experimental cross sections are compared with new results of the n-electron classical trajectory Monte Carlo approximation. The radiative and non-radiative cascades following electron transfers are approximated using scaled hydrogenic transition probabilities and scaled Auger rates. Also given are estimates of cross sections for single capture, and multiple capture followed by autoionization, as derived from the extended overbarrier model. These estimates are based on new theoretical calculations of the vertical ionization potentials of H2O up to H2O10+.

Mass media and polarisation processes in the bounded confidence model of opinion dynamics

This paper presents a social simulation in which we add an additional layer of mass media communication to the social network 'bounded confidence' model of Deffuant et al (2000). A population of agents on a lattice with continuous opinions and bounded confidence adjust their opinions on the basis of binary social network interactions between neighbours or communication with a fixed opinion. There are two mechanisms for interaction. 'Social interaction' occurs between neighbours on a lattice and 'mass communication' adjusts opinions based on an agent interacting with a fixed opinion. Two new variables are added, polarisation: the degree to which two mass media opinions differ, and broadcast ratio: the number of social interactions for each mass media communication. Four dynamical regimes are observed, fragmented, double extreme convergence, a state of persistent opinion exchange leading to single extreme convergence and a disordered state. Double extreme convergence is found where agents are less willing to change opinion and mass media communications are common or where there is moderate willingness to change opinion and a high frequency of mass media communications. Single extreme convergence is found where there is moderate willingness to change opinion and a lower frequency of mass media communication. A period of persistent opinion exchange precedes single extreme convergence, it is characterized by the formation of two opposing groups of opinion separated by a gradient of opinion exchange. With even very low frequencies of mass media communications this results in a move to central opinions followed by a global drift to one extreme as one of the opposing groups of opinion dominates. A similar pattern of findings is observed for Neumann and Moore neighbourhoods.

Macroscopic limit of time-dependent density-functional theory for adiabatic local approximations of the exchange-correlation kernel

Time-dependent density-functional theory is a rather accurate and efficient way to compute electronic excitations for finite systems. However, in the macroscopic limit (systems of increasing size), for the usual adiabatic random-phase, local-density, or generalized-gradient approximations, one recovers the Kohn-Sham independent-particle picture, and thus the incorrect band gap. To clarify this trend, we investigate the macroscopic limit of the exchange-correlation kernel in such approximations by means of an algebraical analysis complemented with numerical studies of a one-dimensional tight-binding model. We link the failure to shift the Kohn-Sham spectrum of these approximate kernels to the fact that the corresponding operators in the transition space act only on a finite subspace.

North Atlantic marine radiocarbon reservoir ages through Heinrich event H4: A new method for marine age model construction

Cooling and sinking of dense saline water in the Norwegian–Greenland Sea is essential for the formation of North Atlantic Deep Water. The convection in the Norwegian–Greenland Sea allows for a northward flow of warm surface water and southward transport of cold saline water. This circulation system is highly sensitive to climate change and has been shown to operate in different modes. In ice cores the last glacial period is characterized by millennial-scale Dansgaard–Oeschger (D–O) events of warm interstadials and cold stadials. Similar millennial-scale variability (linked to D–O events) is evident from oceanic cores, suggesting a strong coupling of the atmospheric and oceanic circulations system. Particularly long-lasting cold stadials correlate with North Atlantic Heinrich events, where icebergs released from the continents caused a spread of meltwater over the northern North Atlantic and Nordic seas. The meltwater layer is believed to have caused a stop or near-stop in the deep convection, leading to cold climate. The spreading of meltwater and changes in oceanic circulation have a large influence on the carbon exchange between atmosphere and the deep ocean and lead to profound changes in the 14C activity of the surface ocean. Here we demonstrate marine 14C reservoir ages (R) of up to c. 2000 years for Heinrich event H4. Our R estimates are based on a new method for age model construction using identified tephra layers and tie-points based on abrupt interstadial warmings.

Air-Sea Exchange of Legacy POPs in the North Sea Based on Results of Fate and Transport, and Shelf-Sea Hydrodynamic Ocean Models

The air-sea exchange of two legacy persistent organic pollutants (POPs), γ-HCH and PCB 153, in the North Sea, is presented and discussed using results of regional fate and transport and shelf-sea hydrodynamic ocean models for the period 1996–2005. Air-sea exchange occurs through gas exchange (deposition and volatilization), wet deposition and dry deposition. Atmospheric concentrations are interpolated into the model domain from results of the EMEP MSC-East multi-compartmental model (Gusev et al, 2009). The North Sea is net depositional for γ-HCH, and is dominated by gas deposition with notable seasonal variability and a downward trend over the 10 year period. Volatilization rates of γ-HCH are generally a factor of 2–3 less than gas deposition in winter, spring and summer but greater in autumn when the North Sea is net volatilizational. A downward trend in fugacity ratios is found, since gas deposition is decreasing faster than volatilization. The North Sea is net volatilizational for PCB 153, with highest rates of volatilization to deposition found in the areas surrounding polluted British and continental river sources. Large quantities of PCB 153 entering through rivers lead to very high local rates of volatilization.